Ireneusz Miciuła

PhD

Faculty of Economics and Management

Department of Financial

THE CONCEPT OF FTS ANYLYSIS

IN FORECASTING TRENDS

OF EXCHANGE RATE CHANGES

Management

University of Szczecin

Szczecin, Poland

E-mail: irekmic@wneiz.pl

ABSTRACT. The crisis in financial markets has contributed to a significant downturn in the global economy. Significant perturbations and high volatility have also been observed in the forex market. The purpose of this article is to determine which variables from the financial and commodity market affect the exchange rate changes. The article presents the concept of FTS analysis (Fundamental – Technical – Speculative) used to predict the direction of exchange rate changes. The author’s FTS concept is a combination of two most popular forecasting methods and an attempt to add (parameterize) information on financial institutions’ interventions in the forex market and generally understood speculations. The paper specifies explanatory variables and determines the nature of the occurring interdependencies. The FTS analysis allows for developing a computer system for decision support in the management of foreign exchange risk. At the same time, the paper draws attention to the complexity of the issue and shows possible directions for further research.

Received: March, 2014

1st Revision: April, 2014

Accepted: May, 2014

DOI:10.14254/2071-789X.2014/7-2/14

JEL Classification: B4, C5, F4, G1

Keywords: forecasting, econometric model, FTS analysis, exchange rate.